Working with 'Simple' Bound Constraints Using PortfolioMAD
Object

'Simple' bound constraints are optional linear constraints that
maintain upper and lower bounds on portfolio weights (see 'Simple' Bound Constraints). Although every portfolio set must be bounded, it is not
necessary to specify a portfolio set with explicit bound constraints. For example, you
can create a portfolio set with an implicit upper bound constraint or a portfolio set
with average turnover constraints. The bound constraints have properties
LowerBound for the lower-bound constraint and
UpperBound for the upper-bound constraint. Set default values for
these constraints using the setDefaultConstraints function (see
Setting Default Constraints for Portfolio Weights Using Portfolio Object).

Setting 'Simple' Bounds Using the PortfolioMAD Function

The properties for bound constraints are set through the PortfolioMAD object. Suppose that you
have a balanced fund with stocks that can range from 50% to 75% of your portfolio
and bonds that can range from 25% to 50% of your portfolio. The bound constraints
for a balanced fund are set with:

Setting 'Simple' Bounds Using the setBounds Function

You can also set the properties for bound constraints using setBounds. Suppose
that you have a balanced fund with stocks that can range from 50% to 75% of your
portfolio and bonds that can range from 25% to 50% of your portfolio. Given a
PortfolioMAD object p, use setBounds to set
the bound
constraints:

Setting 'Simple' Bounds Using the PortfolioMAD Function or setBounds
Function

Both the PortfolioMAD object and setBounds function
implement scalar expansion on either the LowerBound or
UpperBound properties. If the NumAssets
property is already set in the PortfolioMAD object, scalar
arguments for either property expand to have the same value across all dimensions.
In addition, setBounds lets you
specify NumAssets as an optional argument. Suppose that you have
a universe of 500 assets and you want to set common bound constraints on all assets
in your universe. Specifically, you are a long-only investor and want to hold no
more than 5% of your portfolio in any single asset. You can set these bound
constraints in any of these equivalent ways:

To clear bound constraints from your PortfolioMAD object, use
either the PortfolioMAD object or setBounds with
empty inputs for the properties to be cleared. For example, to clear the upper-bound
constraint from the PortfolioMAD object p in
the previous
example:

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